Structured credit portfolio analysis, baskets & CDOs [electronic resource] / Christian Bluhm, Ludger Overbeck.
Written from the perspective of practitioners who apply mathematical concepts to structured credit products, this book starts with a brief wrap-up on basic concepts of credit risk modeling and then moves on topics such as the modeling and evaluation of basket products, and credit-linked notes refere...
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| Format: | Electronic eBook |
| Language: | English |
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Boca Raton, FL :
Chapman & Hall/CRC,
©2007.
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| Series: | Chapman & Hall/CRC financial mathematics series.
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Table of Contents:
- From Single Credit Risks to Credit Portfolios; Modeling Single-Name Credit Risk; Ratings and Default Probabilities; Credit Exposure; Loss Given Default; Modeling Portfolio Credit Risk; Systematic and Idiosyncratic Credit Risk; Loss Distribution of Credit Portfolios; Practicability Versus Accuracy; Default Baskets; Introductory Example: Duo Baskets; First- and Second-to-Default Modeling; Derivation of PD Term Structures; A Time-Homogeneous Markov Chain Approach; A Non-Homogeneous Markov Chain Approach; Extrapolation Problems for PD Term Structures; Duo Basket Evaluation for Multi-Year Horizons; Dependent Default Times; Default Times and PD Term Structures; Survival Function and Hazard Rate; Calculation of Default Time Densities and Hazard; Rate Functions; From Latent Variables to Default Times; Dependence Modeling via Copula Functions; Copulas in Practice; Visualization of Copula Differences and.
- Mathematical; Description by Dependence Measures; Impact of Copula Differences to the Duo Basket; A Word of Caution; Nth-to-Default Modeling; Nth-to-Default Basket with the Gaussian Copula; Nth-to-Default Basket with the Student-t Copula; Nth-to-Default Basket with the Clayton Copula; Nth-to-Default Simulation Study; Evaluation of Cash Flows in Default Baskets; Scenario Analysis; Example of a Basket Credit-Linked Note (CLN); Collateralized Debt and Synthetic Obligations; A General Perspective on CDO Modeling; A Primer on CDOs; Risk Transfer; Spread and Rating Arbitrage; Funding Benefits; Regulatory Capital Relief; CDO Modeling Principles; CDO Modeling Approaches; Introduction of a Sample CSO; A First-Order Look at CSO Performance; Monte Carlo Simulation of the CSO; Implementing an Excess Cash Trap; Multi-Step and First Passage Time Models; Analytic, Semi-Analytic,
- And Comonotonic CDO Evaluation Approaches; Single-Tranche CDOs (STCDOs); Basics of Single-Tranche CDOs; CDS Indices as Reference Pool for STCDOs; ITraxx Europe Untranched; ITraxx Europe Index Tranches: Pricing, Delta; Hedging, and Implied Correlations; Tranche Risk Measures; Expected Shortfall Contributions; Tranche Hit Contributions of Single Names; Applications: Asset Selection,
- Cost-to-Securitize; Remarks on Portfolios of CDOs; Some Practical Remarks; Suggestions for Further Reading; Appendix; The Gamma Distribution; The Chi-Square Distribution; The Student-t Distribution; A Natural Clayton-Like Copula Example; Entropy-Based Rationale for Gaussian and Exponential; Distributions as Natural Standard Choices; Tail Orientation in Typical Latent Variable Credit Risk Models; The Vasicek Limit Distribution; One-Factor Versus Multi-Factor Models; Description of the Sample Portfolio; CDS Names in CDX. NA. IG and iTraxx Europe.